报告题目：Ambiguous Communication and Asset Pricing：Evidence from a Policy-driven Market

报 告 人：林建浩

报告时间：2021年12月12日（周日）10:00-11:30

报告地点：腾讯会议

主办单位：经济学院

【报告人简介】

林建浩，经济学博士，中山大学岭南学院副教授，博士生导师，任岭南学院经济学系副系主任。主要研究方向包括：央行沟通与预期管理；创新政策；文化与经济行为。在《经济研究》、《管理世界》、《经济学（季刊）》、《管理科学学报》、等权威期刊发表数50余篇学术论文。主持国家自然科学基金面上项目2项、青年项目1项，省级课题多项。担任《统计研究》编委，广东经济学会副秘书长。获得教育部第七届高等学校科学研究优秀成果奖（人文社会科学）三等奖、广东省优秀博士论文。

【内容摘要】

This paper explores the cross-sectional asset pricing implications of the ambiguity of People's Bank of China (PBC) communication. Due to the limitation of information acquisition and the lack of independence, these communications can be somewhat ambiguous information to the market. By distinguishing different inclinations for each communication event with the field-specific lexicon, we obtain time series of probabilities that the PBC is dovish, neutral, or hawkish. Using the three probabilities, we develop a measurement for the ambiguity of PBC communication. The main findings indicate that our ambiguity index earns a significant negative risk premium, even after controlling other textual policy uncertainty indices. This paper contributes to the literature by introducing ambiguity to central bank communication, and providing novel empirical evidence that ambiguity is an economically important factor in the cross-section of asset returns.

【参会方式】

线上腾讯会议，会议ID：168-192-975。

撰稿：班伟        审核：齐鹰飞       单位：经济学院